Abstract
In this chapter we describe market models in discrete time to price and hedge European and American-style derivatives. We present the classical model introduced by Cox, Ross and Rubinstein in [78] and we mention briefly the pricing problem in incomplete markets. General references on topics covered in this chapter are Dana and Jeanblanc [84], Föllmer and Schied [134], Lamberton and Lapeyre [226], Pliska [282], Shreve [310], van der Hoek and Elliott [329]: we also mention Pascucci and Runggaldier [277] where several examples and exercises can be found.
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© 2011 Springer-Verlag Italia
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Pascucci, A. (2011). Discrete market models. In: PDE and Martingale Methods in Option Pricing. Bocconi & Springer Series. Springer, Milano. https://doi.org/10.1007/978-88-470-1781-8_2
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DOI: https://doi.org/10.1007/978-88-470-1781-8_2
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-1780-1
Online ISBN: 978-88-470-1781-8
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